Abstract:

This paper explores the estimation of implicit government guarantees for quasi-municipal corporate bonds (“Chengtou” bonds) issued by local government financing platforms (LGFPs). It holds that although the new Budget Law prohibits local governments from providing guarantees for any institutions, the market prices of Chengtou bonds suggest that investors still believe that local governments will provide implicit guarantees for Chengtou bonds, i.e., there exists what is known in the industry as “Chengtou beliefs”. This paper defines Chengtou beliefs as “the probability of government providing guarantee for Chengtou bonds implied in the market price”, and analyzes the prices of Chengtou bonds in two states: government providing guarantee and government not providing guarantee. Then, it gives the pricing formula of Chengtou bonds considering the Chengtou beliefs based on the option pricing theory, as well as the method and example of measuring the implicit guarantees by using the trading price data of Chengtou bonds. The method given in this paper is based on the product level of Chengtou bonds rather than the industry level, and can be used to examine in more depth the impact of implicit government guarantee on the price of Chengtou bonds when Chengtou beliefs become increasingly differentiated, and evaluate the implicit guarantee of Chengtou bonds in a more rational way.

Key words:

implicit government guarantees, Chengtou bonds, Chengtou beliefs, bond pricing

摘要：

探讨了如何估计地方政府融资平台发行的城投债的隐性担保问题。尽管新的《预算法》规定“地方政府不再为任何机构提供担保”，但城投债的市场价格表明，投资者仍然相信地方政府会为城投债提供隐性担保，即存在所谓的“城投信仰”。将城投信仰定义为市场价格中所隐含的“政府为城投债提供担保的概率”，分析了政府提供担保和无担保两种状态下的城投债价格。利用期权定价理论给出了考虑城投信仰的城投债定价公式，并给出利用城投债交易价格数据测算城投信仰的方法和实例。本文的方法基于城投债的产品层面而非行业层面，在城投信仰面临分化的情况下，可更深入地研究政府隐性担保对城投债价格的影响，有助于更理性地看待和评价城投债的隐性担保问题。

关键词:

隐性担保, 城投债, 城投信仰, 债券定价